I did the bandana thing for about 5 years with the biggest downside of the folded edge of the bandana bunching up and giving me pressure headaches every game. Up side is that it's cheap and harder to lose in your bag or locker room/home.
I recently switched to a lower profile polyester headband (example: https://www.amazon.com/Value-2-Pack-Mens-Headband-Sweatbands/dp/B07L514GQ3/ref=sr_1_8?ie=UTF8&qid=1544603938&sr=8-8&keywords=temple+tape). Much more comfortable being a lower profile, fewer headaches, and it soaks up a ton of sweat for its size, and runs cooler than the bandana. Downside is that I have a tendency of losing it in my bag. Might have to invest in a cararbiner to clip to my helmet to keep track of it...